Tefillin are also known as Phylacteries, and they are little black boxes that hold scrolls. Attached to long leather straps, they fix these scrolls, one at the center of the top of the forehead, and the other on the left arm, during prayer and the blessing of the Teffilin.
This unique mitzvah comes straight from the Torah, where it is mentioned several times, but most clearly in Deut. 6:8 "And you shall bind them for a sign upon your hand, and they shall be for ornaments between your eyes." These tefillin boxes hold a scroll written by hand by a scribe which are each inscribed with several passages from the Torah:
The Shema (Deuteronomy 6:4-9) - proclaiming the Unity of the one, singular God, Vehayah (Deuteronomy 11:13-21) - God's assurance to us of reward that will be awarded to us if we observe the Torah's precepts, and warning of retribution if we are disobedient to them, Kadesh (Exodus 13:1-10) - Our duty as the Jewish people always to remember the redemption from Egypt, and Vehayah (Exodus 13:11-16) - the obligation of every Jew to teach his children about these matters. These verses are written with a special feather quill on leather parchment, and it is then rolled up into the protective boxes of the phylacteries (Tefillin).
Every weekday, from the Bar Mitzvah (13 years) on, Jewish men and boys don their Tefillin and say their special blessing. This mitzvah is very meaningful and it ties us to our heritage, religion, and belief in God. They are not worn on holidays or Shabbat, or even Chol Hamoed, according to many, but every other day, faithfully, Jewish men are commanded to wrap themselves in the Tefillin and say the blessings.
First the arm box is held loosely in place, and this blessing is said: בָּרוּךְ אַתָּה יי, אֱ־לֹהֵינוּ מֶלֶךְ הָעוֹלָם, אֲשֶׁר קִדְּשָׁנוּ בְּמִצְוֹתָיו, וְצִוָּנוּ לְהָנִיחַ תְּפִלִּין.
Next, the arm straps are tightened and wrapped, and the head phylactery is placed, Ashkenazi custom dictating the second blessing: בָּרוּךְ אַתָּה יי, אֱ־לֹהֵינוּ מֶלֶךְ הָעוֹלָם, אֲשֶׁר קִדְּשָׁנוּ בְּמִצְוֹתָיו, וְצִוָּנוּ עַל מִצְוַת תְּפִלִּין.
Then, the head phylactery is tightened, and this is recited: בָּרוּךְ שֵׁם כְּבוֹד מַלְכוּתוֹ, לְעוֹלָם וָעֶד.
Some people continue and say: וּמֵחָכְמָתְךָ אֵ־ל עֶלְיוֹן תַּאֲצִיל עָלַי, וּמִבִּינָתְךָ תְּבִינֵנִי. וּבְחַסְדְּךָ תַּגְדִּיל עָלַי, וּבִגְבוּרָתְךָ תַּצְמִית אוֹיְבַי וְקָמַי. וְשֶׁמֶן הַטּוֹב תָּרִיק עַל שִׁבְעָה קְנֵי הַמְּנוֹרָה, לְהַשְׁפִּיעַ טוּבְךָ לִבְרִיּוֹתֶיךָ. פּוֹתֵחַ אֶת יָדֶךָ וּמַשְׂבִּיעַ לְכָל חַי רָצוֹן.
And then it is wrapped around the forearm for this part: וְאֵרַשְׂתִּיךְ לִי לְעוֹלָם, וְאֵרַשְׂתִּיךְ לִי בְּצֶדֶק וּבְמִשְׁפָּט וּבְחֶסֶד וּבְרַחֲמִים. וְאֵרַשְׂתִּיךְ לִי בֶּאֱמוּנָה וְיָדַעַתְּ אֶת יי.
Afterwards, the Shema in its entirety is recited.
There are different kinds of Tefillin, as traditions slightly differ on how to wrap the straps and the minute details of the scrolls. Ashkenazi tefillin are enscribed in awriting style called Beit Yosef, while Sephardic tefillin are written in a writing style knows as Vellish. The letter Shin which is found on the head phylactery is shaped slightly differently too. The wrapping style is a bit different as well, so the straps are arranged differently.
As for the scrolls themselves, there are several general levels of scroll. Peshutos-Peshutos are very simple and made up of glued together bits of parchment, and are not recommended. They become pasul (messed up in some small way that renders them incorrect for the mitzvah) easily. The most common type is the next level up, Peshutos-Mehudaros, which are larger pieces glued together, with the main part being one piece. Then there are the Dakos scrolls, which are thin, but all one piece of parchment. The most fancy, sturdy, and mehudar scrolls are written on thick single pieces of parchment, called Gasos.
These meaningful Judaica items are used every weekday, and are a crucial part of any Jewish man's life. Given to a boy at his Bar Mitzvah, they guide him forward throughout life, and are a very important biblical mitzvah carried out strictly to this very day.